public virtual void LoadOhlcList(List <BarRecord> barRecords) { OhlcList = new List <Ohlc>(); foreach (BarRecord bar in barRecords) { Ohlc ohlc = new Ohlc(); ohlc.Open = Convert.ToDouble(bar.OPEN_PRICE); ohlc.Close = Convert.ToDouble(bar.CLOSE_PRICE); ohlc.Low = Convert.ToDouble(bar.LOW_PRICE); ohlc.High = Convert.ToDouble(bar.HIGH_PRICE); ohlc.Volume = Convert.ToDouble(bar.TOTAL_VOLUME); OhlcList.Add(ohlc); } }
public override ADXSerie Calculate() { ADXSerie adxSerie = new ADXSerie(); List <Ohlc> tempOhlcList = new List <Ohlc>(); for (int i = 0; i < OhlcList.Count; i++) { Ohlc tempOhlc = new Ohlc() { Close = OhlcList[i].High }; tempOhlcList.Add(tempOhlc); } Momentum momentum = new Momentum(); momentum.Load(tempOhlcList); List <double?> highMomentums = momentum.Calculate().Values; tempOhlcList = new List <Ohlc>(); for (int i = 0; i < OhlcList.Count; i++) { Ohlc tempOhlc = new Ohlc() { Close = OhlcList[i].Low }; tempOhlcList.Add(tempOhlc); } momentum = new Momentum(); momentum.Load(tempOhlcList); List <double?> lowMomentums = momentum.Calculate().Values; for (int i = 0; i < lowMomentums.Count; i++) { if (lowMomentums[i].HasValue) { lowMomentums[i] *= -1; } } //DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) ) List <double?> DMIPositives = new List <double?>() { null }; // DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) ) List <double?> DMINegatives = new List <double?>() { null }; for (int i = 1; i < OhlcList.Count; i++) { if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0)) { DMIPositives.Add(0); } else { if (highMomentums[i] > lowMomentums[i]) { DMIPositives.Add(highMomentums[i]); } else { DMIPositives.Add(0); } } if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0)) { DMINegatives.Add(0); } else { if (highMomentums[i] < lowMomentums[i]) { DMINegatives.Add(lowMomentums[i]); } else { DMINegatives.Add(0); } } } ATR atr = new ATR(); atr.Load(OhlcList); List <double?> trueRanges = atr.Calculate().TrueRange; adxSerie.TrueRange = trueRanges; List <double?> trSum = wilderSum(trueRanges); // DIp <- 100 * wilderSum(DMIp, n=n) / TRsum List <double?> DIPositives = new List <double?>(); List <double?> wilderSumOfDMIp = wilderSum(DMIPositives); for (int i = 0; i < wilderSumOfDMIp.Count; i++) { if (wilderSumOfDMIp[i].HasValue) { DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value); } else { DIPositives.Add(null); } } adxSerie.DIPositive = DIPositives; // DIn <- 100 * wilderSum(DMIn, n=n) / TRsum List <double?> DINegatives = new List <double?>(); List <double?> wilderSumOfDMIn = wilderSum(DMINegatives); for (int i = 0; i < wilderSumOfDMIn.Count; i++) { if (wilderSumOfDMIn[i].HasValue) { DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value); } else { DINegatives.Add(null); } } adxSerie.DINegative = DINegatives; // DX <- 100 * ( abs(DIp - DIn) / (DIp + DIn) ) List <double?> DX = new List <double?>(); for (int i = 0; i < OhlcList.Count; i++) { if (DIPositives[i].HasValue) { double?dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value)); DX.Add(dx); } else { DX.Add(null); } } adxSerie.DX = DX; for (int i = 0; i < OhlcList.Count; i++) { if (DX[i].HasValue) { OhlcList[i].Close = DX[i].Value; } else { OhlcList[i].Close = 0.0; } } EMA ema = new EMA(Period, true); ema.Load(OhlcList.Skip(Period).ToList()); List <double?> emaValues = ema.Calculate().Values; for (int i = 0; i < Period; i++) { emaValues.Insert(0, null); } adxSerie.ADX = emaValues; return(adxSerie); }
public virtual void Load(string path) { using (CsvReader csv = new CsvReader(new StreamReader(path), true)) { int fieldCount = csv.FieldCount; string[] headers = csv.GetFieldHeaders(); OhlcList = new List <Ohlc>(); while (csv.ReadNextRecord()) { Ohlc ohlc = new Ohlc(); for (int i = 0; i < fieldCount; i++) { switch (headers[i]) { case "START_TIME": break; case "END_TIME": break; case "OPEN_PRICE": ohlc.Open = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "CLOSE_PRICE": ohlc.Close = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "HIGH_PRICE": ohlc.High = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "LOW_PRICE": ohlc.Low = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "TOTAL_VOLUME": ohlc.Volume = int.Parse(csv[i]); break; case "Date": ohlc.Date = new DateTime(Int32.Parse(csv[i].Substring(0, 4)), Int32.Parse(csv[i].Substring(5, 2)), Int32.Parse(csv[i].Substring(8, 2))); break; case "Open": ohlc.Open = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "High": ohlc.High = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "Low": ohlc.Low = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "Close": ohlc.Close = double.Parse(csv[i], CultureInfo.InvariantCulture); break; case "Volume": ohlc.Volume = int.Parse(csv[i]); break; case "Adj Close": ohlc.AdjClose = double.Parse(csv[i], CultureInfo.InvariantCulture); break; default: break; } } OhlcList.Add(ohlc); } } }